{"title":"银团贷款风险:契约和抵押品的影响","authors":"Jianglin Ding, George G. Pennacchi","doi":"10.2139/ssrn.3828153","DOIUrl":null,"url":null,"abstract":"This paper presents a new approach that quantifies how a credit rating agency and investors judge the effects of collateral and various covenants on syndicated loan risk. It addresses firms’ self-selection of these contract terms by analyzing how a loan’s collateral and covenants affect: 1) the difference between the loan’s credit rating and the senior, unsecured credit rating of the borrowing firm; and 2) the difference between the borrowing firm’s senior, unsecured CDS spread and its loan’s credit spread. The results show that the rating agency and investors agree that a collateral requirement, a capital expenditure covenant, and a dividend restriction covenant are most important for reducing a loan’s credit risk. However, equity issuance and excess cashflow sweeps increase a loan’s risk.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2021-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Syndicated Loan Risk: The Effects of Covenants and Collateral\",\"authors\":\"Jianglin Ding, George G. Pennacchi\",\"doi\":\"10.2139/ssrn.3828153\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper presents a new approach that quantifies how a credit rating agency and investors judge the effects of collateral and various covenants on syndicated loan risk. It addresses firms’ self-selection of these contract terms by analyzing how a loan’s collateral and covenants affect: 1) the difference between the loan’s credit rating and the senior, unsecured credit rating of the borrowing firm; and 2) the difference between the borrowing firm’s senior, unsecured CDS spread and its loan’s credit spread. The results show that the rating agency and investors agree that a collateral requirement, a capital expenditure covenant, and a dividend restriction covenant are most important for reducing a loan’s credit risk. However, equity issuance and excess cashflow sweeps increase a loan’s risk.\",\"PeriodicalId\":331807,\"journal\":{\"name\":\"Banking & Insurance eJournal\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-04-16\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Banking & Insurance eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3828153\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Banking & Insurance eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3828153","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Syndicated Loan Risk: The Effects of Covenants and Collateral
This paper presents a new approach that quantifies how a credit rating agency and investors judge the effects of collateral and various covenants on syndicated loan risk. It addresses firms’ self-selection of these contract terms by analyzing how a loan’s collateral and covenants affect: 1) the difference between the loan’s credit rating and the senior, unsecured credit rating of the borrowing firm; and 2) the difference between the borrowing firm’s senior, unsecured CDS spread and its loan’s credit spread. The results show that the rating agency and investors agree that a collateral requirement, a capital expenditure covenant, and a dividend restriction covenant are most important for reducing a loan’s credit risk. However, equity issuance and excess cashflow sweeps increase a loan’s risk.